English

Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples

Probability 2009-01-22 v2

Abstract

In Section 1, we present a number of classical results concerning the Generalized Gamma Convolution (:GGC) variables, their Wiener-Gamma representations, and relation with the Dirichlet processes.To a GGC variable, one may associate a unique Thorin measure. Let GG a positive r.v. and Γt(G)\Gamma_t(G) (resp. Γt(1/G))\Gamma_t(1/G)) the Generalized Gamma Convolution with Thorin measure tt-times the law of GG (resp. the law of 1/G1/G). In Section 2, we compare the laws of Γt(G)\Gamma_t(G) and Γt(1/G)\Gamma_t(1/G).In Section 3, we present some old and some new examples of GGC variables, among which the lengths of excursions of Bessel processes straddling an independent exponential time.

Keywords

Cite

@article{arxiv.0708.3932,
  title  = {Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples},
  author = {Lancelot F. James and Bernard Roynette and Marc Yor},
  journal= {arXiv preprint arXiv:0708.3932},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/07-PS118 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T09:11:44.769Z